A Coverage Function for Interval Estimators of Simulation Response

The coverage function presented here measures confidence interval robustness. It is suggested that this function be used in the analysis of empirical interval estimator studies. Some approaches for determining appropriate sample sizes in such experiments are also discussed. A short study of two procedures for constructing confidence intervals for a simulation response is offered as an example.

[1]  F. Massey.  The Kolmogorov-Smirnov Test for Goodness of Fit , 1951 .

[2]  Milton Sobel,et al.  Selecting the best one of several binomial populations , 1957 .

[3]  Shanti S. Gupta,et al.  On Selecting a Subset Which Contains All Populations Better Than a Standard , 1958 .

[4]  M. Kendall,et al.  The advanced theory of statistics , 1945 .

[5]  Martin Schatzoff,et al.  Expected Significance Level as a Sensitivity Index for Test Statistics , 1965 .

[6]  Milton Sobel,et al.  Nonparametric procedures for selecting a subset containing the population with the largest alpha-quantile. , 1967 .

[7]  George S. Fishman,et al.  Solution of Large Networks by Matrix Methods , 1976, IEEE Transactions on Systems, Man, and Cybernetics.

[8]  Michael A. Crane,et al.  Simulating Stable Stochastic Systems, I: General Multiserver Queues , 1974, JACM.

[9]  Michael A. Crane,et al.  Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations , 1975, Oper. Res..

[10]  D. Iglehart.  Simulating stable stochastic systems, V: Comparison of ratio estimators , 1975 .

[11]  Mitchell H. Gail,et al.  Critical Values for the One-Sided Two-Sample Kolmogorov-Smirnov Statistic , 1976 .

[12]  C. H. Sauer,et al.  Sequential stopping rules for the regenerative method of simulation , 1977 .

[13]  I. Olkin,et al.  Selecting and Ordering Populations: A New Statistical Methodology , 1977 .

[14]  Averill M. Law.  Confidence intervals in discrete event simulation: A comparison of replication and batch means , 1977 .

[15]  G. S. Fishman.  Grouping Observations in Digital Simulation , 1978 .

[16]  G. S. Fishman.  Principles of Discrete Event Simulation , 1978 .